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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 邱顯比(Shian-Bi Chiu) | |
| dc.contributor.author | Bing-Chen Hsiao | en |
| dc.contributor.author | 蕭秉宸 | zh_TW |
| dc.date.accessioned | 2023-03-19T23:20:24Z | - |
| dc.date.copyright | 2022-07-05 | |
| dc.date.issued | 2022 | |
| dc.date.submitted | 2022-06-27 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/85643 | - |
| dc.description.abstract | 2020年到2021年期間，台灣加權股價指數屢創新高，此現象帶動大眾的投資風潮造成開戶數攀升，基金也受惠於這波股市狂熱而受到投資人青睞，國內股票型基金支數在近兩年漸漸回升，基金規模更是創下歷年新高，因此本研究將透過樣本長度的變化試著衡量樣本內基金的選股能力和擇時能力是否因為近期的股市多頭而有所改變，並同時衡量基金績效是否存在持續性。 本研究選取中華民國證券投資信託暨顧問商業同業公會(STICA)所歸類代號為AA1之國內投資股票型基金，且在樣本期間2011/01/01到2021/08/31內有完整日報酬資料的120檔基金作為本研究樣本，並透過Treynor&Mazuy（1966）以及詹昊陽、游清芳(2019)提出的回歸式來衡量基金的選股能力和擇時能力，並透過Spearman’s rank correlation coefficient test 檢測基金之年報酬排名是否存在相關性，以衡量基金績效的持續性。 結果指出，疫情股市大多頭的情況確實有提升台灣國內股票型基金經理人的選股能力表現，但收益擇時能力則不因為疫情而有所影響，而在波動擇時部分則表現良好，大約70% 的經理人能夠因應市場波動而適時調整投組；接著是報酬率表現的部分，選股能力排名前20名基金的平均年報酬顯著優於排名後20名基金的平均年報酬，若將排名縮小到前後10名也會得到同樣的結果；另外在持續性的部分，前一年表現較好的基金其報酬表現也會顯著優於前一年表現較差的基金，說明基金績效在一年內存在持續性，但此持續性將會隨著時間拉長而降低。 | zh_TW |
| dc.description.abstract | Taiwan's weighted stock price index has repeatedly hit new highs from 2020 to 2021. This situation cause the number of account openings to rise. Funds have also benefited from this wave. The number of domestic stock funds has gradually recovered in the past two years. The size of the fund has also hit a record high. Therefore, this study tries to measure whether the selection and timing ability of the funds have changed due to the recent stock market bullishness. Also, this study will measure whether the fund performance exists persistence or not. This research selects domestic equity funds classified by the STICA with the code AA1, which have complete daily return data during the sample period from 2011/01/01 to 2021/08/31. The selection and timing ability of fund are measured by the regression proposed by Treynor & Mazuy (1966) and Zhan & Yu (2019). Then we use Spearman's rank correlation coefficient test to test the correlations of funds return’s rank. The results pointed that bullishness of stock market has improved the stock selection ability of Taiwan's domestic equity fund, but the income timing ability is not affected by the epidemic. The volatility timing part has performed well. As for persistence, the returns of funds that performed well in the previous year will also be significantly better than those that performed poorly. Indicating that the fund's performance has persisted within a year. | en |
| dc.description.provenance | Made available in DSpace on 2023-03-19T23:20:24Z (GMT). No. of bitstreams: 1 U0001-1006202215370100.pdf: 788703 bytes, checksum: 52ae7e2c81896408b32fd80b103107c9 (MD5) Previous issue date: 2022 | en |
| dc.description.tableofcontents | 目錄 謝誌 i 摘要 ii Abstract iii 圖目錄 v 表目錄 vi 第一章 緒論 1 第一節、 研究背景 1 第二節、 研究動機 2 第三節、 研究目的 4 第二章 文獻回顧 5 第一節、 基金績效評估 5 第二節、 選股與擇時能力 7 第三節、 績效持續性 8 第三章 資料與研究方法 10 第一節、 資料來源 10 第二節、 資料的操作性定義 13 第三節、 研究方法 15 一、Treynor & Mazuy(1966) 15 二、詹昊陽、游清芳(2019) 16 第四章 實證結果與分析 17 第一節、 Treynor & Mazuy回歸模型 17 第二節、 TM-B-FF3 21 第三節、 基金績效持續性檢測 25 第五章 結論與建議 31 第一節、 結論 31 一、 選股能力 31 二、 擇時能力 31 三、 績效持續性 32 第二節、 研究建議 32 參考文獻 33 中文文獻 33 英文文獻 34 | |
| dc.language.iso | zh-TW | |
| dc.subject | 績效持續性 | zh_TW |
| dc.subject | 共同基金 | zh_TW |
| dc.subject | 選股能力 | zh_TW |
| dc.subject | 擇時能力 | zh_TW |
| dc.subject | Mutual Fund | en |
| dc.subject | Performance Persistence | en |
| dc.subject | Timing Ability | en |
| dc.subject | Selection Ability | en |
| dc.title | 台灣股票型基金選股、擇時能力和績效持續性之實證研究 | zh_TW |
| dc.title | A Study on the Performance and Persistence of Taiwan Equity Mutual Fund | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 110-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳彥行(Yan-Shing Chen),陳明賢(Ming-Shian Chen) | |
| dc.subject.keyword | 共同基金,選股能力,擇時能力,績效持續性, | zh_TW |
| dc.subject.keyword | Mutual Fund,Selection Ability,Timing Ability,Performance Persistence, | en |
| dc.relation.page | 37 | |
| dc.identifier.doi | 10.6342/NTU202200906 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2022-06-28 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| dc.date.embargo-lift | 2022-07-05 | - |
| 顯示於系所單位： | 財務金融學系 | |
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